Search Results

SORT BY: PREVIOUS / NEXT
Keywords:Borrowing constraints 

Working Paper
Explaining the Boom-Bust Cycle in the U.S. Housing Market: A Reverse-Engineering Approach

We use a simple quantitative asset pricing model to ?reverse-engineer? the sequences of stochastic shocks to housing demand and lending standards that are needed to exactly replicate the boom-bust patterns in U.S. household real estate value and mortgage debt over the period 1995 to 2012. Conditional on the observed paths for U.S. disposable income growth and the mortgage interest rate, we consider four different specifications of the model that vary according to the way that household expectations are formed (rational versus moving average forecast rules) and the maturity of the mortgage ...
Working Paper Series , Paper 2015-2

Working Paper
Inflation Disagreement Weakens the Power of Monetary Policy

We present empirical evidence that household inflation disagreement weakens the power of forward guidance and conventional monetary policy shocks. The attenuation effect is stronger when inflation forecasts are positively skewed and it is not driven by endogenous responses of inflation disagreement to contemporaneous shocks. These empirical observations can be rationalized by a model featuring heterogeneous beliefs about the central banks' inflation target. An agent who perceives higher future inflation also perceives a lower real interest rate and thus borrows more to finance consumption, ...
Finance and Economics Discussion Series , Paper 2024-094

FILTER BY year

FILTER BY Content Type

FILTER BY Author

Dong, Ding 1 items

Gelain, Paolo 1 items

Lansing, Kevin J. 1 items

Liu, Zheng 1 items

Natvik, Gisele J. 1 items

Wang, Pengfei 1 items

show more (2)

FILTER BY Jel Classification

D84 1 items

E21 1 items

E31 1 items

E32 1 items

E44 1 items

E52 1 items

show more (5)

PREVIOUS / NEXT